Abstract Major depressive disorder (MDD) is a major cause of disability worldwide and is twice as common in women as in men. Women are at heightened risk for depression onset during the menopausal transition, which includes both perimenopause and early postmenopause. Menopausal Major Depressive Disorder (mMDD) is usually accompanied by comorbid conditions that interfere with functioning and wellbeing, including hot flashes, cognitive complaints, anxiety, fatigue and sleep dysregulation. Despite the elevated risk of depression in this population, there have been few placebo-controlled trials to treat mMDD. Many women prefer alternatives to the typical treatment options for mMDD of antidepressants or estrogen replacement therapy. Importantly, menopausal women often seek integrative treatments, such as nutritional supplements, despite a paucity of data thus far to support the efficacy or safety of such compounds. Pregnenolone is an endogenous neurosteroid that is made from cholesterol in the brain and adrenals that is sold as an over-the-counter supplement in the United States. Preclinical literature suggests that a pregnenolone analogue is effective in animal models of depression. Low cerebrospinal fluid levels of pregnenolone are reported in humans with depression, low serum levels in anxiety and low parietal cortex levels in people who commit suicide. We conducted two placebo-controlled pilot studies of exogenous pregnenolone administration in depressed patients. The first study showed a greater reduction in depressive symptoms with pregnenolone in a mixed sample of patients with bipolar depression and MDD. A second study focused on bipolar depression and again found a greater improvement in depressive symptoms with pregnenolone than placebo. Pregnenolone was well tolerated in both studies. Women showed a more robust response than men in both pilot studies and women over age 40 years showed a stronger response than did younger women. In addition, improvement in cognition (e.g. memory) was observed with pregnenolone in women and reduction in depressive symptoms strongly correlated with increases in blood pregnenolone levels. Given the wide availability of pregnenolone and the promising preclinical and clinical data, particularly in women, we propose a trial of this supplement in women in the menopausal transition with MDD (mMDD). A two-site (Dallas and Boston), randomized, double-blind, placebo-controlled trial of 16 weeks of pregnenolone is proposed in 144 women over age 40 with mMDD using an innovative sequential parallel comparison clinical trial design. Depressive symptoms, anxiety symptoms, hot flashes, sleep, quality of life and cognition will be assessed. Serum neurosteroid levels will be obtained at baseline and exit. An experienced research team will conduct the clinical trial. The principal investigators each have over 18 years of experience conducting clinical trials in patients with mood disorders. The co-investigators also have extensive clinical and research experience with neurosteroids, statistics and the treatment of mood disorders.